Real probability of exercising and expected values of option payoff

Wojakowski, RM and Shackleton, M (2003) Real probability of exercising and expected values of option payoff Futures Market (Rynek Terminowy), 20 (2). pp. 125-127.

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Abstract

We derive the continuous-time formula for expected payoff to holding an option, which nests several major pricing tools. We also show that under current market conditions the true exercise probability, N(d4), lies halfway between the two more familiar terms: N(d1) and N(d2).

Item Type:	Article
Divisions :	Surrey research (other units)
Authors :	Wojakowski, RM and Shackleton, M
Date :	April 2003
Depositing User :	Symplectic Elements
Date Deposited :	28 Mar 2017 13:47
Last Modified :	24 Jan 2020 12:00
URI:	http://epubs.surrey.ac.uk/id/eprint/768169

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